@xapy/orderbook 0.1.2 → 0.1.4

package/dist/index.js

@@ -847,9 +847,131 @@ function parseObjectLevels(rows) {
 var WS_SPOT2 = "wss://api.gateio.ws/ws/v4/";
 var WS_FUTURES = "wss://fx-ws.gateio.ws/v4/ws/usdt";
 function streamGateOrderbook(opts) {
-  const isFutures = opts.market === "perpetual";
+  return opts.market === "perpetual" ? streamGateFuturesObu(opts) : streamGateSpot(opts);
+}
+function streamGateFuturesObu(opts) {
+  const gateSymbol = toGateSymbol(opts.symbol);
+  const level = snapFuturesLevel(opts.depth ?? 50);
+  const streamName = `ob.${gateSymbol}.${level}`;
+  const merger = new BookMerger();
+  let lastU = -1;
+  let ws = null;
+  const stream = new OrderbookStream(() => ws?.close());
+  const wsMsg = (event) => JSON.stringify({
+    time: Math.floor(Date.now() / 1e3),
+    channel: "futures.obu",
+    event,
+    payload: [streamName]
+  });
+  const pingMsg = () => JSON.stringify({
+    time: Math.floor(Date.now() / 1e3),
+    channel: "futures.ping"
+  });
+  const emitBook = (bids, asks, sequence, timestamp) => {
+    const book = {
+      exchange: "gate",
+      symbol: fromGateSymbol(gateSymbol),
+      market: "perpetual",
+      bids,
+      asks,
+      timestamp,
+      sequence
+    };
+    stream.emit("update", book);
+  };
+  const resubscribe = () => {
+    if (!ws) return;
+    merger.reset();
+    lastU = -1;
+    try {
+      ws.send(wsMsg("unsubscribe"));
+      ws.send(wsMsg("subscribe"));
+    } catch (err) {
+      stream.emit("error", err);
+    }
+  };
+  const processFrame = (frame) => {
+    const bids = parseObuLevels(frame.b);
+    const asks = parseObuLevels(frame.a);
+    if (frame.full) {
+      const r2 = merger.apply({
+        kind: "snapshot",
+        bids,
+        asks,
+        sequence: frame.u,
+        timestamp: frame.t
+      });
+      lastU = frame.u;
+      if (r2.ok) emitBook(r2.bids, r2.asks, r2.sequence, r2.timestamp);
+      return;
+    }
+    if (!merger.isReady() || lastU < 0 || frame.U === void 0) return;
+    if (frame.u <= lastU) return;
+    if (frame.U !== lastU + 1) {
+      resubscribe();
+      return;
+    }
+    const r = merger.apply({
+      kind: "delta",
+      bids,
+      asks,
+      sequence: frame.u,
+      prevSequence: lastU,
+      timestamp: frame.t
+    });
+    if (r.ok) {
+      lastU = frame.u;
+      emitBook(r.bids, r.asks, r.sequence, r.timestamp);
+    } else if (r.reason === "gap") {
+      resubscribe();
+    }
+  };
+  const onMessage = (raw) => {
+    if (typeof raw !== "string") return;
+    let msg;
+    try {
+      msg = JSON.parse(raw);
+    } catch {
+      return;
+    }
+    if (msg.error) {
+      stream.emit("error", new Error(`gate: ${msg.error.message}`));
+      return;
+    }
+    if (msg.channel !== "futures.obu") return;
+    if (msg.event === "subscribe" || msg.event === "unsubscribe") return;
+    if (msg.event !== "update" || !msg.result) return;
+    processFrame(msg.result);
+  };
+  ws = new WSClient({
+    url: WS_FUTURES,
+    onOpen: (sock) => {
+      merger.reset();
+      lastU = -1;
+      sock.send(wsMsg("subscribe"));
+    },
+    onMessage,
+    pingIntervalMs: 15e3,
+    pingPayload: pingMsg
+  });
+  ws.on("open", () => stream.emit("connected"));
+  ws.on("close", (r) => stream.emit("disconnected", r));
+  ws.on("reconnecting", (a, w) => stream.emit("reconnecting", a, w));
+  ws.on("error", (e) => stream.emit("error", e));
+  ws.connect().catch((e) => stream.emit("error", e));
+  return stream;
+}
+function snapFuturesLevel(depth) {
+  return depth <= 50 ? 50 : 400;
+}
+function parseObuLevels(rows) {
+  if (!rows) return [];
+  const out = [];
+  for (const [p, s] of rows) out.push({ price: Number(p), size: Number(s) });
+  return out;
+}
+function streamGateSpot(opts) {
   const gateSymbol = toGateSymbol(opts.symbol);
-  const channel = isFutures ? "futures.order_book_update" : "spot.order_book_update";
   const interval = `${opts.intervalMs ?? 100}ms`;
   const depth = String(opts.depth ?? 100);
   const merger = new BookMerger();
@@ -861,22 +983,21 @@ function streamGateOrderbook(opts) {
   let recovering = false;
   let ws = null;
   const stream = new OrderbookStream(() => ws?.close());
-  const payload = isFutures ? [gateSymbol, interval, depth] : [gateSymbol, depth, interval];
   const subscribeMsg = () => JSON.stringify({
     time: Math.floor(Date.now() / 1e3),
-    channel,
+    channel: "spot.order_book_update",
     event: "subscribe",
-    payload
+    payload: [gateSymbol, depth, interval]
   });
   const pingMsg = () => JSON.stringify({
     time: Math.floor(Date.now() / 1e3),
-    channel: isFutures ? "futures.ping" : "spot.ping"
+    channel: "spot.ping"
   });
   const emitBook = (bids, asks, sequence, timestamp) => {
     const book = {
       exchange: "gate",
       symbol: fromGateSymbol(gateSymbol),
-      market: opts.market,
+      market: "spot",
       bids,
       asks,
       timestamp,
@@ -889,7 +1010,7 @@ function streamGateOrderbook(opts) {
     snapshotInFlight = true;
     fetchGateOrderbook({
       symbol: opts.symbol,
-      market: opts.market,
+      market: "spot",
       depth: opts.depth ?? 100,
       timeoutMs: opts.timeoutMs,
       transformUrl: opts.transformUrl
@@ -965,9 +1086,16 @@ function streamGateOrderbook(opts) {
       stream.emit("error", new Error(`gate: ${msg.error.message}`));
       return;
     }
-    if (msg.channel !== channel || !msg.result) return;
+    if (msg.channel !== "spot.order_book_update" || !msg.result) return;
     if (msg.event !== "update") return;
-    const ev = normalize(msg.result, isFutures);
+    const r = msg.result;
+    const ev = {
+      U: r.U,
+      u: r.u,
+      t: r.t,
+      bids: r.b.map(([p, s]) => ({ price: Number(p), size: Number(s) })),
+      asks: r.a.map(([p, s]) => ({ price: Number(p), size: Number(s) }))
+    };
     if (!snapshotDone) {
       buffered.push(ev);
       if (!snapshotInFlight) triggerSnapshot();
@@ -976,7 +1104,7 @@ function streamGateOrderbook(opts) {
     processDelta(ev);
   };
   ws = new WSClient({
-    url: isFutures ? WS_FUTURES : WS_SPOT2,
+    url: WS_SPOT2,
     onOpen: (sock) => {
       merger.reset();
       snapshotSequence = -1;
@@ -996,26 +1124,6 @@ function streamGateOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
-function normalize(ev, isFutures) {
-  if (isFutures) {
-    const f = ev;
-    return {
-      U: f.U,
-      u: f.u,
-      t: f.t,
-      bids: f.b.map((row) => ({ price: Number(row.p), size: Number(row.s) })),
-      asks: f.a.map((row) => ({ price: Number(row.p), size: Number(row.s) }))
-    };
-  }
-  const s = ev;
-  return {
-    U: s.U,
-    u: s.u,
-    t: s.t,
-    bids: s.b.map(([p, sz]) => ({ price: Number(p), size: Number(sz) })),
-    asks: s.a.map(([p, sz]) => ({ price: Number(p), size: Number(sz) }))
-  };
-}
 
 // src/exchanges/gate/index.ts
 var GateClient = class {
@@ -1123,29 +1231,50 @@ function streamBingxOrderbook(opts) {
   const wsSymbol = opts.symbol.toUpperCase().replace("/", "-");
   const level = opts.depth ?? 20;
   const interval = opts.interval ?? "500ms";
-  const dataType = `${wsSymbol}@depth${level}@${interval}`;
+  const depthDataType = `${wsSymbol}@depth${level}@${interval}`;
+  const tickerDataType = `${wsSymbol}@bookTicker`;
   const merger = new BookMerger();
   let ws = null;
   const stream = new OrderbookStream(() => ws?.close());
-  const subscribePayload = JSON.stringify({
-    id: `sub-${Date.now()}`,
+  const subId = Date.now();
+  const subscribeDepth = JSON.stringify({
+    id: `sub-depth-${subId}`,
     reqType: "sub",
-    dataType
+    dataType: depthDataType
   });
-  const handlePayload = (text) => {
-    if (text === "Ping" || text === "ping") {
-      ws?.send(text === "Ping" ? "Pong" : "pong");
-      return;
-    }
-    let msg;
-    try {
-      msg = JSON.parse(text);
-    } catch {
-      return;
+  const subscribeTicker = JSON.stringify({
+    id: `sub-ticker-${subId}`,
+    reqType: "sub",
+    dataType: tickerDataType
+  });
+  let lastMerged = null;
+  let lastTicker = null;
+  const emitOverlayed = () => {
+    if (!lastMerged) return;
+    let bids = lastMerged.bids;
+    let asks = lastMerged.asks;
+    let timestamp = lastMerged.timestamp;
+    let sequence = lastMerged.sequence;
+    if (lastTicker) {
+      bids = overlayBid(bids, lastTicker.bid);
+      asks = overlayAsk(asks, lastTicker.ask);
+      if (lastTicker.ts > timestamp) {
+        timestamp = lastTicker.ts;
+        sequence = Math.max(sequence, lastTicker.ts);
+      }
     }
-    if (msg.id && !msg.data) return;
-    if (msg.dataType !== dataType || !msg.data) return;
-    const d = msg.data;
+    const book = {
+      exchange: "bingx",
+      symbol: opts.symbol,
+      market: opts.market,
+      bids,
+      asks,
+      timestamp,
+      sequence
+    };
+    stream.emit("update", book);
+  };
+  const handleDepth = (d) => {
     const ts = d.T ?? d.ts ?? Date.now();
     const event = {
       kind: "snapshot",
@@ -1156,16 +1285,45 @@ function streamBingxOrderbook(opts) {
     };
     const r = merger.apply(event);
     if (!r.ok) return;
-    const book = {
-      exchange: "bingx",
-      symbol: opts.symbol,
-      market: opts.market,
+    lastMerged = {
       bids: r.bids,
       asks: r.asks,
       timestamp: r.timestamp,
       sequence: r.sequence
     };
-    stream.emit("update", book);
+    emitOverlayed();
+  };
+  const handleTicker = (t) => {
+    const bidPrice = Number(t.b);
+    const askPrice = Number(t.a);
+    const bidSize = Number(t.B);
+    const askSize = Number(t.A);
+    if (!Number.isFinite(bidPrice) || !Number.isFinite(askPrice)) return;
+    lastTicker = {
+      bid: { price: bidPrice, size: bidSize },
+      ask: { price: askPrice, size: askSize },
+      ts: t.T ?? t.E ?? Date.now()
+    };
+    emitOverlayed();
+  };
+  const handlePayload = (text) => {
+    if (text === "Ping" || text === "ping") {
+      ws?.send(text === "Ping" ? "Pong" : "pong");
+      return;
+    }
+    let msg;
+    try {
+      msg = JSON.parse(text);
+    } catch {
+      return;
+    }
+    if (msg.id && !msg.data) return;
+    if (!msg.dataType || !msg.data) return;
+    if (msg.dataType === depthDataType) {
+      handleDepth(msg.data);
+    } else if (msg.dataType === tickerDataType) {
+      handleTicker(msg.data);
+    }
   };
   const onMessage = async (raw) => {
     if (typeof raw === "string") {
@@ -1179,7 +1337,10 @@ function streamBingxOrderbook(opts) {
     url: isSpot ? WS_SPOT3 : WS_SWAP,
     onOpen: (sock) => {
       merger.reset();
-      sock.send(subscribePayload);
+      lastMerged = null;
+      lastTicker = null;
+      sock.send(subscribeDepth);
+      sock.send(subscribeTicker);
     },
     onMessage
     // bingx server is the one that sends Ping frames; we don't need client pings.
@@ -1191,6 +1352,32 @@ function streamBingxOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
+function overlayAsk(asks, top) {
+  if (!(top.size > 0)) return asks;
+  let i = 0;
+  for (; i < asks.length; i++) {
+    const level = asks[i];
+    if (!level || level.price >= top.price) break;
+  }
+  const at = asks[i];
+  if (at && at.price === top.price) {
+    return [{ price: top.price, size: top.size }, ...asks.slice(i + 1)];
+  }
+  return [{ price: top.price, size: top.size }, ...asks.slice(i)];
+}
+function overlayBid(bids, top) {
+  if (!(top.size > 0)) return bids;
+  let i = 0;
+  for (; i < bids.length; i++) {
+    const level = bids[i];
+    if (!level || level.price <= top.price) break;
+  }
+  const at = bids[i];
+  if (at && at.price === top.price) {
+    return [{ price: top.price, size: top.size }, ...bids.slice(i + 1)];
+  }
+  return [{ price: top.price, size: top.size }, ...bids.slice(i)];
+}
 
 // src/exchanges/bingx/index.ts
 var BingxClient = class {