@solncebro/exchange-engine 0.1.0

package/dist/normalizers/binanceNormalizer.js

@@ -0,0 +1,133 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.normalizeBinanceMarkets = normalizeBinanceMarkets;
+exports.normalizeBinanceTickers = normalizeBinanceTickers;
+exports.normalizeBinanceKlines = normalizeBinanceKlines;
+exports.normalizeBinanceKlineWsMessage = normalizeBinanceKlineWsMessage;
+exports.normalizeBinancePosition = normalizeBinancePosition;
+exports.normalizeBinanceOrder = normalizeBinanceOrder;
+exports.normalizeBinanceBalance = normalizeBinanceBalance;
+function extractFilter(filterList, filterType) {
+    return filterList.find((f) => f.filterType === filterType);
+}
+function normalizeBinanceMarkets(raw) {
+    const result = new Map();
+    for (const symbol of raw.symbols) {
+        const priceFilter = extractFilter(symbol.filters, 'PRICE_FILTER');
+        const lotSizeFilter = extractFilter(symbol.filters, 'LOT_SIZE');
+        const minNotionalFilter = extractFilter(symbol.filters, 'MIN_NOTIONAL') ??
+            extractFilter(symbol.filters, 'NOTIONAL');
+        const isPerp = symbol.contractType === 'PERPETUAL';
+        const isSpot = symbol.contractType === undefined || symbol.contractType === '';
+        const market = {
+            symbol: symbol.symbol,
+            baseAsset: symbol.baseAsset,
+            quoteAsset: symbol.quoteAsset,
+            settle: isPerp ? 'USDT' : '',
+            active: symbol.status === 'TRADING',
+            type: isPerp ? 'swap' : isSpot ? 'spot' : 'future',
+            linear: isPerp,
+            contractSize: 1,
+            filter: {
+                tickSize: priceFilter?.tickSize ?? '0',
+                stepSize: lotSizeFilter?.stepSize ?? '0',
+                minQty: lotSizeFilter?.minQty ?? '0',
+                maxQty: lotSizeFilter?.maxQty ?? '0',
+            },
+        };
+        result.set(symbol.symbol, market);
+    }
+    return result;
+}
+function normalizeBinanceTickers(rawList) {
+    const result = new Map();
+    for (const raw of rawList) {
+        const ticker = {
+            symbol: raw.symbol,
+            close: parseFloat(raw.lastPrice),
+            percentage: parseFloat(raw.priceChangePercent),
+            timestamp: raw.time,
+        };
+        result.set(raw.symbol, ticker);
+    }
+    return result;
+}
+function normalizeBinanceKlines(rawList) {
+    return rawList.map((row) => ({
+        openTime: row[0],
+        open: parseFloat(row[1]),
+        high: parseFloat(row[2]),
+        low: parseFloat(row[3]),
+        close: parseFloat(row[4]),
+        volume: parseFloat(row[5]),
+        closeTime: row[6],
+        quoteVolume: parseFloat(row[7]),
+        trades: row[8],
+    }));
+}
+function normalizeBinanceKlineWsMessage(raw) {
+    return {
+        openTime: raw.t,
+        open: parseFloat(raw.o),
+        high: parseFloat(raw.h),
+        low: parseFloat(raw.l),
+        close: parseFloat(raw.c),
+        volume: parseFloat(raw.v),
+        closeTime: raw.T,
+        quoteVolume: parseFloat(raw.q),
+        trades: raw.n,
+    };
+}
+function normalizeBinancePosition(raw) {
+    const sideMap = {
+        LONG: 'long',
+        SHORT: 'short',
+        BOTH: 'both',
+    };
+    const side = sideMap[raw.positionSide] ?? 'both';
+    const marginMode = raw.marginType === 'ISOLATED' ? 'isolated' : 'cross';
+    const liquidationPriceRaw = parseFloat(raw.liquidationPrice);
+    return {
+        symbol: raw.symbol,
+        side,
+        contracts: parseFloat(raw.positionAmt),
+        entryPrice: parseFloat(raw.entryPrice),
+        markPrice: parseFloat(raw.markPrice),
+        unrealizedPnl: parseFloat(raw.unRealizedProfit),
+        leverage: parseFloat(raw.leverage),
+        marginMode,
+        liquidationPrice: isNaN(liquidationPriceRaw) ? 0 : liquidationPriceRaw,
+        info: raw,
+    };
+}
+function normalizeBinanceOrder(raw) {
+    return {
+        id: String(raw.orderId),
+        symbol: raw.symbol,
+        side: raw.side.toLowerCase(),
+        type: raw.type.toLowerCase(),
+        amount: parseFloat(raw.origQty),
+        price: parseFloat(raw.price),
+        status: raw.status.toLowerCase(),
+        timestamp: raw.updateTime,
+    };
+}
+function normalizeBinanceBalance(raw) {
+    const result = new Map();
+    for (const entry of raw.balances) {
+        const free = parseFloat(entry.free);
+        const locked = parseFloat(entry.locked);
+        if (free + locked === 0) {
+            continue;
+        }
+        const balance = {
+            asset: entry.asset,
+            free,
+            locked,
+            total: free + locked,
+        };
+        result.set(entry.asset, balance);
+    }
+    return result;
+}
+//# sourceMappingURL=binanceNormalizer.js.map

package/dist/normalizers/binanceNormalizer.js.map

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

@@ -0,0 +1,79 @@
+import { TickerBySymbol, Kline, MarketBySymbol, Position, Order, BalanceByAsset } from '../types/common';
+interface BybitRawLotSizeFilter {
+    qtyStep?: string;
+    minOrderQty?: string;
+    maxOrderQty?: string;
+}
+interface BybitRawPriceFilter {
+    tickSize?: string;
+}
+export interface BybitRawInstrumentInfo {
+    symbol: string;
+    status: string;
+    baseCoin: string;
+    quoteCoin: string;
+    settleCoin?: string;
+    contractType?: string;
+    contractSize?: string;
+    lotSizeFilter?: BybitRawLotSizeFilter;
+    priceFilter?: BybitRawPriceFilter;
+}
+export interface BybitRawTicker {
+    symbol: string;
+    lastPrice: string;
+    price24hPcnt: string;
+    time?: number;
+}
+export interface BybitRawWsKline {
+    start: number;
+    open: string;
+    high: string;
+    low: string;
+    close: string;
+    volume: string;
+    turnover: string;
+    confirm: boolean;
+    timestamp: number;
+}
+export interface BybitRawPosition {
+    symbol: string;
+    side: string;
+    size: string;
+    avgPrice: string;
+    markPrice: string;
+    unrealisedPnl: string;
+    leverage: string;
+    tradeMode: number;
+    liqPrice: string;
+    positionIdx: number;
+}
+export interface BybitRawOrderResponse {
+    orderId: string;
+    symbol: string;
+    side: string;
+    orderType: string;
+    qty: string;
+    price: string;
+    orderStatus: string;
+    createdTime: string;
+}
+interface BybitRawCoin {
+    coin: string;
+    availableToWithdraw?: string;
+    walletBalance?: string;
+    free?: string;
+    locked?: string;
+    frozenAmount?: string;
+}
+export interface BybitRawWalletBalance {
+    list: BybitRawCoin[];
+}
+export declare function normalizeBybitMarkets(rawList: BybitRawInstrumentInfo[]): MarketBySymbol;
+export declare function normalizeBybitTickers(rawList: BybitRawTicker[]): TickerBySymbol;
+export declare function normalizeBybitKlines(rawList: string[][]): Kline[];
+export declare function normalizeBybitKlineWsMessage(raw: BybitRawWsKline): Kline;
+export declare function normalizeBybitPosition(raw: BybitRawPosition): Position;
+export declare function normalizeBybitOrder(raw: BybitRawOrderResponse): Order;
+export declare function normalizeBybitBalance(raw: BybitRawWalletBalance): BalanceByAsset;
+export {};
+//# sourceMappingURL=bybitNormalizer.d.ts.map

package/dist/normalizers/bybitNormalizer.d.ts.map

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package/dist/normalizers/bybitNormalizer.js

@@ -0,0 +1,150 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.normalizeBybitMarkets = normalizeBybitMarkets;
+exports.normalizeBybitTickers = normalizeBybitTickers;
+exports.normalizeBybitKlines = normalizeBybitKlines;
+exports.normalizeBybitKlineWsMessage = normalizeBybitKlineWsMessage;
+exports.normalizeBybitPosition = normalizeBybitPosition;
+exports.normalizeBybitOrder = normalizeBybitOrder;
+exports.normalizeBybitBalance = normalizeBybitBalance;
+const LINEAR_CONTRACT_TYPES = new Set(['LinearPerpetual', 'LinearFutures']);
+function normalizeBybitMarkets(rawList) {
+    const result = new Map();
+    for (const raw of rawList) {
+        const isLinear = LINEAR_CONTRACT_TYPES.has(raw.contractType ?? '');
+        const isSpot = raw.contractType === undefined || raw.contractType === '';
+        const market = {
+            symbol: raw.symbol,
+            baseAsset: raw.baseCoin,
+            quoteAsset: raw.quoteCoin,
+            settle: isLinear ? (raw.settleCoin ?? 'USDT') : '',
+            active: raw.status === 'Trading',
+            type: isLinear ? 'swap' : isSpot ? 'spot' : 'future',
+            linear: isLinear,
+            contractSize: parseFloat(raw.contractSize ?? '1'),
+            filter: {
+                tickSize: raw.priceFilter?.tickSize ?? '0',
+                stepSize: raw.lotSizeFilter?.qtyStep ?? '0',
+                minQty: raw.lotSizeFilter?.minOrderQty ?? '0',
+                maxQty: raw.lotSizeFilter?.maxOrderQty ?? '0',
+            },
+        };
+        result.set(raw.symbol, market);
+    }
+    return result;
+}
+function normalizeBybitTickers(rawList) {
+    const result = new Map();
+    for (const raw of rawList) {
+        const ticker = {
+            symbol: raw.symbol,
+            close: parseFloat(raw.lastPrice),
+            percentage: parseFloat(raw.price24hPcnt) * 100,
+            timestamp: raw.time ?? Date.now(),
+        };
+        result.set(raw.symbol, ticker);
+    }
+    return result;
+}
+function normalizeBybitKlines(rawList) {
+    return rawList.map((row) => ({
+        openTime: parseFloat(row[0]),
+        open: parseFloat(row[1]),
+        high: parseFloat(row[2]),
+        low: parseFloat(row[3]),
+        close: parseFloat(row[4]),
+        volume: parseFloat(row[5]),
+        closeTime: 0,
+        quoteVolume: parseFloat(row[6]),
+        trades: 0,
+    }));
+}
+function normalizeBybitKlineWsMessage(raw) {
+    return {
+        openTime: raw.start,
+        open: parseFloat(raw.open),
+        high: parseFloat(raw.high),
+        low: parseFloat(raw.low),
+        close: parseFloat(raw.close),
+        volume: parseFloat(raw.volume),
+        closeTime: raw.timestamp,
+        quoteVolume: parseFloat(raw.turnover),
+        trades: 0,
+    };
+}
+function normalizeBybitPosition(raw) {
+    const sideMap = {
+        Buy: 'long',
+        Sell: 'short',
+    };
+    const side = sideMap[raw.side] ?? 'both';
+    const marginMode = raw.tradeMode === 0 ? 'cross' : 'isolated';
+    const liquidationPriceRaw = parseFloat(raw.liqPrice);
+    return {
+        symbol: raw.symbol,
+        side,
+        contracts: parseFloat(raw.size),
+        entryPrice: parseFloat(raw.avgPrice),
+        markPrice: parseFloat(raw.markPrice),
+        unrealizedPnl: parseFloat(raw.unrealisedPnl),
+        leverage: parseFloat(raw.leverage),
+        marginMode,
+        liquidationPrice: isNaN(liquidationPriceRaw) ? 0 : liquidationPriceRaw,
+        info: raw,
+    };
+}
+const BYBIT_ORDER_STATUS_MAP = {
+    New: 'open',
+    PartiallyFilled: 'open',
+    Untriggered: 'open',
+    Filled: 'closed',
+    Cancelled: 'canceled',
+    PartiallyFilledCanceled: 'canceled',
+    Rejected: 'rejected',
+    Deactivated: 'canceled',
+};
+function normalizeBybitOrder(raw) {
+    const status = BYBIT_ORDER_STATUS_MAP[raw.orderStatus] ?? raw.orderStatus.toLowerCase();
+    return {
+        id: raw.orderId,
+        symbol: raw.symbol,
+        side: raw.side.toLowerCase(),
+        type: raw.orderType.toLowerCase(),
+        amount: parseFloat(raw.qty),
+        price: parseFloat(raw.price),
+        status,
+        timestamp: parseFloat(raw.createdTime),
+    };
+}
+function normalizeBybitBalance(raw) {
+    const result = new Map();
+    for (const coin of raw.list) {
+        const free = parseFloat(coin.availableToWithdraw ?? coin.free ?? '0');
+        const walletBalance = parseFloat(coin.walletBalance ?? '0');
+        const frozen = parseFloat(coin.frozenAmount ?? coin.locked ?? '0');
+        const locked = isNaN(frozen) ? walletBalance - free : frozen;
+        if (free + locked === 0) {
+            continue;
+        }
+        const existing = result.get(coin.coin);
+        if (existing !== undefined) {
+            const balance = {
+                asset: coin.coin,
+                free: existing.free + free,
+                locked: existing.locked + locked,
+                total: existing.total + free + locked,
+            };
+            result.set(coin.coin, balance);
+            continue;
+        }
+        const balance = {
+            asset: coin.coin,
+            free,
+            locked,
+            total: free + locked,
+        };
+        result.set(coin.coin, balance);
+    }
+    return result;
+}
+//# sourceMappingURL=bybitNormalizer.js.map

package/dist/normalizers/bybitNormalizer.js.map

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package/dist/precision/precision.d.ts

@@ -0,0 +1,6 @@
+import { Market } from '../types/common';
+export declare function countDecimalPlaces(step: string): number;
+export declare function roundToStep(value: number, step: string): string;
+export declare function amountToPrecision(market: Market, amount: number): string;
+export declare function priceToPrecision(market: Market, price: number): string;
+//# sourceMappingURL=precision.d.ts.map

package/dist/precision/precision.d.ts.map

@@ -0,0 +1 @@
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package/dist/precision/precision.js

@@ -0,0 +1,29 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.countDecimalPlaces = countDecimalPlaces;
+exports.roundToStep = roundToStep;
+exports.amountToPrecision = amountToPrecision;
+exports.priceToPrecision = priceToPrecision;
+function countDecimalPlaces(step) {
+    const parts = step.split('.');
+    if (parts.length === 1) {
+        return 0;
+    }
+    return parts[1].replace(/0+$/, '').length;
+}
+function roundToStep(value, step) {
+    const stepValue = parseFloat(step);
+    if (stepValue === 0 || Number.isNaN(stepValue)) {
+        return String(value);
+    }
+    const decimals = countDecimalPlaces(step);
+    const rounded = Math.round(value / stepValue) * stepValue;
+    return rounded.toFixed(decimals);
+}
+function amountToPrecision(market, amount) {
+    return roundToStep(amount, market.filter.stepSize);
+}
+function priceToPrecision(market, price) {
+    return roundToStep(price, market.filter.tickSize);
+}
+//# sourceMappingURL=precision.js.map

package/dist/precision/precision.js.map

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package/dist/types/common.d.ts

@@ -0,0 +1,86 @@
+export type ExchangeName = 'binance' | 'bybit';
+export type OrderSide = 'buy' | 'sell';
+export type OrderType = 'market' | 'limit';
+export type MarginMode = 'isolated' | 'cross';
+export type PositionSide = 'long' | 'short' | 'both';
+export type MarketType = 'spot' | 'swap' | 'future';
+export type TimeInForce = 'GTC' | 'IOC' | 'FOK' | 'PostOnly';
+export type KlineInterval = '1m' | '3m' | '5m' | '15m' | '30m' | '1h' | '2h' | '4h' | '6h' | '12h' | '1d' | '3d' | '1w' | '1M';
+export interface ExchangeConfig {
+    apiKey: string;
+    secret: string;
+    recvWindow?: number;
+}
+export interface ExchangeLogger {
+    debug(message: string, ...args: unknown[]): void;
+    info(message: string, ...args: unknown[]): void;
+    warn(message: string, ...args: unknown[]): void;
+    error(message: string, ...args: unknown[]): void;
+    fatal(message: string, ...args: unknown[]): void;
+}
+export interface Ticker {
+    symbol: string;
+    close: number;
+    percentage: number;
+    timestamp: number;
+}
+export type TickerBySymbol = Map<string, Ticker>;
+export interface Kline {
+    openTime: number;
+    open: number;
+    high: number;
+    low: number;
+    close: number;
+    volume: number;
+    closeTime: number;
+    quoteVolume: number;
+    trades: number;
+}
+export interface MarketFilter {
+    tickSize: string;
+    stepSize: string;
+    minQty: string;
+    maxQty: string;
+}
+export interface Market {
+    symbol: string;
+    baseAsset: string;
+    quoteAsset: string;
+    settle: string;
+    active: boolean;
+    type: MarketType;
+    linear: boolean;
+    contractSize: number;
+    filter: MarketFilter;
+}
+export type MarketBySymbol = Map<string, Market>;
+export interface Position {
+    symbol: string;
+    side: PositionSide;
+    contracts: number;
+    entryPrice: number;
+    markPrice: number;
+    unrealizedPnl: number;
+    leverage: number;
+    marginMode: MarginMode;
+    liquidationPrice: number;
+    info: Record<string, unknown>;
+}
+export interface Order {
+    id: string;
+    symbol: string;
+    side: OrderSide;
+    type: OrderType;
+    amount: number;
+    price: number;
+    status: string;
+    timestamp: number;
+}
+export interface Balance {
+    asset: string;
+    free: number;
+    locked: number;
+    total: number;
+}
+export type BalanceByAsset = Map<string, Balance>;
+//# sourceMappingURL=common.d.ts.map

package/dist/types/common.d.ts.map

@@ -0,0 +1 @@
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package/dist/types/common.js

@@ -0,0 +1,3 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=common.js.map

package/dist/types/common.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"common.js","sourceRoot":"","sources":["../../src/types/common.ts"],"names":[],"mappings":""}

package/dist/types/exchange.d.ts

@@ -0,0 +1,43 @@
+import { ExchangeConfig, ExchangeLogger, KlineInterval, Kline, MarginMode, MarketBySymbol, Order, OrderSide, OrderType, TickerBySymbol, BalanceByAsset, Position } from './common';
+export interface ExchangeArgs {
+    config: ExchangeConfig;
+    logger: ExchangeLogger;
+    onNotify?: (message: string) => void | Promise<void>;
+}
+export interface CreateOrderWsArgs {
+    symbol: string;
+    type: OrderType;
+    side: OrderSide;
+    amount: number;
+    price: number;
+    params?: Record<string, unknown>;
+}
+export interface FetchKlinesArgs {
+    startTime?: number;
+    endTime?: number;
+    limit?: number;
+}
+export interface SubscribeKlinesArgs {
+    symbol: string;
+    interval: KlineInterval;
+    handler: (kline: Kline) => void;
+}
+export interface ExchangeClient {
+    readonly apiKey: string;
+    readonly markets: MarketBySymbol;
+    loadMarkets(reload?: boolean): Promise<MarketBySymbol>;
+    fetchTickers(): Promise<TickerBySymbol>;
+    fetchKlines(symbol: string, interval: KlineInterval, options?: FetchKlinesArgs): Promise<Kline[]>;
+    fetchBalance(): Promise<BalanceByAsset>;
+    fetchPosition(symbol: string): Promise<Position>;
+    setLeverage(leverage: number, symbol: string): Promise<void>;
+    setMarginMode(marginMode: MarginMode, symbol: string): Promise<void>;
+    amountToPrecision(symbol: string, amount: number): string;
+    priceToPrecision(symbol: string, price: number): string;
+    createOrderWs(args: CreateOrderWsArgs): Promise<Order>;
+    close(): Promise<void>;
+    watchTickers(): AsyncGenerator<TickerBySymbol>;
+    subscribeKlines(args: SubscribeKlinesArgs): void;
+    unsubscribeKlines(args: SubscribeKlinesArgs): void;
+}
+//# sourceMappingURL=exchange.d.ts.map

package/dist/types/exchange.d.ts.map

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package/dist/types/exchange.js

@@ -0,0 +1,3 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=exchange.js.map

package/dist/types/exchange.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"exchange.js","sourceRoot":"","sources":["../../src/types/exchange.ts"],"names":[],"mappings":""}

package/dist/types/index.d.ts

@@ -0,0 +1,3 @@
+export type { ExchangeName, OrderSide, OrderType, MarginMode, PositionSide, MarketType, TimeInForce, KlineInterval, ExchangeConfig, ExchangeLogger, Ticker, TickerBySymbol, Kline, MarketFilter, Market, MarketBySymbol, Position, Order, Balance, BalanceByAsset, } from './common';
+export type { ExchangeArgs, CreateOrderWsArgs, FetchKlinesArgs, SubscribeKlinesArgs, ExchangeClient, } from './exchange';
+//# sourceMappingURL=index.d.ts.map

package/dist/types/index.d.ts.map

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package/dist/types/index.js

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+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+//# sourceMappingURL=index.js.map

package/dist/types/index.js.map

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package/dist/ws/BinanceFuturesPublicStream.d.ts

@@ -0,0 +1,30 @@
+import type { ExchangeLogger, Kline, KlineInterval, TickerBySymbol } from '../types/common';
+interface BinanceCombinedMessage {
+    stream?: string;
+    data?: unknown;
+}
+declare class BinanceFuturesPublicStream {
+    private readonly logger;
+    private readonly onNotify?;
+    private readonly tickerHandlerSet;
+    private readonly klineHandlerByKey;
+    private readonly connections;
+    private connectScheduled;
+    private subscriptionIdCounter;
+    constructor(logger: ExchangeLogger, onNotify?: (message: string) => void | Promise<void>);
+    subscribeAllTickers(handler: (tickers: TickerBySymbol) => void): void;
+    unsubscribeAllTickers(handler: (tickers: TickerBySymbol) => void): void;
+    subscribeKlines(symbol: string, interval: KlineInterval, handler: (kline: Kline) => void): void;
+    unsubscribeKlines(symbol: string, interval: KlineInterval, handler: (kline: Kline) => void): void;
+    close(): void;
+    private scheduleConnect;
+    private createConnections;
+    private createConnection;
+    private addStreamToConnection;
+    private removeStreamFromConnection;
+    private sendSubscribe;
+    private handleMessage;
+}
+export { BinanceFuturesPublicStream };
+export type { BinanceCombinedMessage };
+//# sourceMappingURL=BinanceFuturesPublicStream.d.ts.map

package/dist/ws/BinanceFuturesPublicStream.d.ts.map

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