@xapy/orderbook 0.1.22 → 0.1.24

package/dist/exchanges/deribit/index.cjs

@@ -0,0 +1,625 @@
+'use strict';
+
+// src/core/symbol.ts
+function parseSymbol(symbol) {
+  const [pair, settle] = symbol.split(":");
+  const parts = (pair ?? "").split("/");
+  const base = parts[0]?.toUpperCase();
+  const quote = parts[1]?.toUpperCase();
+  if (!base || !quote) {
+    throw new Error(
+      `invalid symbol "${symbol}" \u2014 expected "BASE/QUOTE" or "BASE/QUOTE:SETTLE"`
+    );
+  }
+  if (settle && settle.toUpperCase() !== quote) {
+    throw new Error(
+      `unsupported settlement currency in "${symbol}" \u2014 only linear (settle === quote) is supported`
+    );
+  }
+  return {
+    base,
+    quote,
+    market: settle ? "perpetual" : "spot",
+    pair: `${base}/${quote}`
+  };
+}
+
+// src/transport/http.ts
+async function httpJson(req) {
+  const url = req.transformUrl ? req.transformUrl(req.url) : req.url;
+  const controller = new AbortController();
+  const timer = setTimeout(() => controller.abort(), req.timeoutMs ?? 1e4);
+  try {
+    const res = await fetch(url, {
+      method: req.method ?? "GET",
+      headers: req.headers,
+      body: req.body,
+      signal: controller.signal
+    });
+    if (!res.ok) {
+      const text = await res.text().catch(() => "");
+      throw new Error(`HTTP ${res.status} ${res.statusText}: ${text.slice(0, 200)}`);
+    }
+    return await res.json();
+  } finally {
+    clearTimeout(timer);
+  }
+}
+
+// src/core/errors.ts
+var ExchangeError = class extends Error {
+  constructor(exchange, message, cause) {
+    super(
+      `[${exchange}] ${message}`,
+      cause === void 0 ? void 0 : { cause }
+    );
+    this.exchange = exchange;
+    this.name = "ExchangeError";
+  }
+  exchange;
+};
+
+// src/exchanges/deribit/symbols.ts
+function toDeribitSymbol(symbol, market) {
+  const [base, quote] = symbol.split("/");
+  if (!base || !quote) {
+    throw new Error(`invalid symbol "${symbol}" \u2014 expected "BASE/QUOTE"`);
+  }
+  const pair = `${base}_${quote}`.toUpperCase();
+  if (market !== "perpetual") return pair;
+  if (quote.toUpperCase() !== "USDC") {
+    throw new Error(
+      `deribit linear perpetuals are USDC-margined; got "${quote}" (inverse contracts like BTC-PERPETUAL are unsupported)`
+    );
+  }
+  return `${pair}-PERPETUAL`;
+}
+function fromDeribitSymbol(instrument) {
+  let s = instrument.toUpperCase();
+  if (s.endsWith("-PERPETUAL")) s = s.slice(0, -"-PERPETUAL".length);
+  const [base, quote] = s.split("_");
+  return base && quote ? `${base}/${quote}` : s;
+}
+
+// src/exchanges/deribit/rest.ts
+var BASE = "https://www.deribit.com";
+var ALLOWED_DEPTHS = [1, 5, 10, 20, 50, 100, 1e3, 1e4];
+function clampDepth(depth) {
+  return ALLOWED_DEPTHS.find((d) => d >= depth) ?? ALLOWED_DEPTHS[ALLOWED_DEPTHS.length - 1];
+}
+async function fetchDeribitOrderbook(opts) {
+  const instrument = toDeribitSymbol(opts.symbol, opts.market);
+  const depth = clampDepth(opts.depth ?? 50);
+  const url = `${BASE}/api/v2/public/get_order_book?instrument_name=${instrument}&depth=${depth}`;
+  const res = await httpJson({
+    url,
+    timeoutMs: opts.timeoutMs,
+    transformUrl: opts.transformUrl
+  });
+  if (res.error) {
+    throw new ExchangeError(
+      "deribit",
+      `${res.error.code}: ${res.error.message}`
+    );
+  }
+  const r = res.result;
+  if (!r) throw new ExchangeError("deribit", "empty orderbook response");
+  return {
+    exchange: "deribit",
+    symbol: fromDeribitSymbol(r.instrument_name ?? instrument),
+    market: opts.market,
+    bids: r.bids.map(([price, size]) => ({ price, size })),
+    asks: r.asks.map(([price, size]) => ({ price, size })),
+    timestamp: r.timestamp,
+    sequence: r.change_id
+  };
+}
+
+// src/core/book-merger.ts
+var BookMerger = class {
+  bids = /* @__PURE__ */ new Map();
+  // price -> size
+  asks = /* @__PURE__ */ new Map();
+  sequence = -1;
+  timestamp = 0;
+  hasSnapshot = false;
+  apply(event) {
+    if (event.kind === "snapshot") {
+      this.bids.clear();
+      this.asks.clear();
+      for (const { price, size } of event.bids) {
+        if (size > 0) this.bids.set(price, size);
+      }
+      for (const { price, size } of event.asks) {
+        if (size > 0) this.asks.set(price, size);
+      }
+      this.sequence = event.sequence;
+      this.timestamp = event.timestamp;
+      this.hasSnapshot = true;
+      return this.emit();
+    }
+    if (!this.hasSnapshot) {
+      return { ok: false, reason: "no-snapshot" };
+    }
+    if (event.sequence <= this.sequence) {
+      return this.emit();
+    }
+    if (event.prevSequence !== void 0) {
+      if (event.prevSequence !== this.sequence) {
+        return {
+          ok: false,
+          reason: "gap",
+          expected: this.sequence,
+          received: event.prevSequence
+        };
+      }
+    } else if (event.sequence !== this.sequence + 1) {
+      return {
+        ok: false,
+        reason: "gap",
+        expected: this.sequence + 1,
+        received: event.sequence
+      };
+    }
+    for (const { price, size } of event.bids) {
+      if (size === 0) this.bids.delete(price);
+      else this.bids.set(price, size);
+    }
+    for (const { price, size } of event.asks) {
+      if (size === 0) this.asks.delete(price);
+      else this.asks.set(price, size);
+    }
+    this.sequence = event.sequence;
+    this.timestamp = event.timestamp;
+    return this.emit();
+  }
+  reset() {
+    this.bids.clear();
+    this.asks.clear();
+    this.sequence = -1;
+    this.timestamp = 0;
+    this.hasSnapshot = false;
+  }
+  /** Returns true once the merger has a usable book. */
+  isReady() {
+    return this.hasSnapshot;
+  }
+  emit() {
+    const bids = [];
+    for (const [price, size] of this.bids) bids.push({ price, size });
+    bids.sort((a, b) => b.price - a.price);
+    const asks = [];
+    for (const [price, size] of this.asks) asks.push({ price, size });
+    asks.sort((a, b) => a.price - b.price);
+    return {
+      ok: true,
+      bids,
+      asks,
+      sequence: this.sequence,
+      timestamp: this.timestamp
+    };
+  }
+};
+
+// src/core/event-emitter.ts
+var TypedEmitter = class {
+  listeners = /* @__PURE__ */ new Map();
+  on(event, fn) {
+    let set = this.listeners.get(event);
+    if (!set) {
+      set = /* @__PURE__ */ new Set();
+      this.listeners.set(event, set);
+    }
+    set.add(fn);
+    return this;
+  }
+  off(event, fn) {
+    this.listeners.get(event)?.delete(fn);
+    return this;
+  }
+  emit(event, ...args) {
+    const set = this.listeners.get(event);
+    if (!set || set.size === 0) return false;
+    for (const fn of set) fn(...args);
+    return true;
+  }
+  removeAllListeners() {
+    this.listeners.clear();
+  }
+};
+
+// src/core/stream.ts
+var OrderbookStream = class extends TypedEmitter {
+  constructor(onClose) {
+    super();
+    this.onClose = onClose;
+  }
+  onClose;
+  closed = false;
+  close() {
+    if (this.closed) return;
+    this.closed = true;
+    this.onClose();
+    this.removeAllListeners();
+  }
+  /** Yields each maintained book as it becomes available. */
+  async *iter() {
+    const queue = [];
+    let resolveNext = null;
+    let pendingError = null;
+    let ended = false;
+    const onUpdate = (b) => {
+      queue.push(b);
+      resolveNext?.();
+    };
+    const onError = (e) => {
+      pendingError = e;
+      resolveNext?.();
+    };
+    const onClose = () => {
+      ended = true;
+      resolveNext?.();
+    };
+    this.on("update", onUpdate);
+    this.on("error", onError);
+    this.on("disconnected", onClose);
+    try {
+      while (true) {
+        if (pendingError) throw pendingError;
+        const next = queue.shift();
+        if (next) {
+          yield next;
+          continue;
+        }
+        if (ended || this.closed) return;
+        await new Promise((r) => {
+          resolveNext = r;
+        });
+        resolveNext = null;
+      }
+    } finally {
+      this.off("update", onUpdate);
+      this.off("error", onError);
+      this.off("disconnected", onClose);
+    }
+  }
+};
+
+// src/core/reconnect.ts
+var Backoff = class _Backoff {
+  attempt = 0;
+  opts;
+  constructor(opts) {
+    this.opts = opts;
+  }
+  static withDefaults(opts = {}) {
+    return new _Backoff({
+      initialMs: opts.initialMs ?? 500,
+      maxMs: opts.maxMs ?? 3e4,
+      factor: opts.factor ?? 2,
+      jitter: opts.jitter ?? 0.3,
+      maxAttempts: opts.maxAttempts ?? 0
+    });
+  }
+  next() {
+    if (this.opts.maxAttempts > 0 && this.attempt >= this.opts.maxAttempts) {
+      return null;
+    }
+    this.attempt += 1;
+    const base = Math.min(
+      this.opts.initialMs * Math.pow(this.opts.factor, this.attempt - 1),
+      this.opts.maxMs
+    );
+    const jitterRange = base * this.opts.jitter;
+    const wait = Math.max(0, base + (Math.random() * 2 - 1) * jitterRange);
+    return { wait, attempt: this.attempt };
+  }
+  reset() {
+    this.attempt = 0;
+  }
+};
+var hasNativeWebSocket = typeof globalThis.WebSocket !== "undefined";
+
+// src/transport/ws.ts
+function toError(value, fallback = "unknown error") {
+  if (value instanceof Error) {
+    return value.message ? value : new Error(`${value.name}: ${fallback}`);
+  }
+  if (typeof value === "string" && value) return new Error(value);
+  return new Error(fallback);
+}
+function normalizeWsError(ev) {
+  const detail = ev?.message || (ev?.error instanceof Error ? ev.error.message : void 0) || (typeof ev?.error === "string" ? ev.error : void 0);
+  return new Error(detail ? `WebSocket error: ${detail}` : "WebSocket error");
+}
+function describeClose(ev) {
+  if (ev?.reason) return ev.reason;
+  return ev?.code === void 0 ? "closed" : `closed (code ${ev.code})`;
+}
+var cachedCtor = null;
+async function getWebSocketCtor() {
+  if (cachedCtor) return cachedCtor;
+  if (hasNativeWebSocket) {
+    cachedCtor = globalThis.WebSocket;
+    return cachedCtor;
+  }
+  try {
+    const mod = await import('ws');
+    const ctor = mod.default ?? mod.WebSocket;
+    if (!ctor) throw new Error("missing default export");
+    cachedCtor = ctor;
+    return cachedCtor;
+  } catch (err) {
+    throw new Error(
+      "WebSocket unavailable; install peer dep `ws` for Node <22. " + (err instanceof Error ? err.message : String(err))
+    );
+  }
+}
+var WSClient = class extends TypedEmitter {
+  constructor(cfg) {
+    super();
+    this.cfg = cfg;
+    this.backoff = Backoff.withDefaults(cfg.reconnect);
+  }
+  cfg;
+  ws = null;
+  backoff;
+  closed = false;
+  pingTimer = null;
+  async connect() {
+    if (this.closed) return;
+    const WS = await getWebSocketCtor();
+    const url = typeof this.cfg.url === "function" ? await this.cfg.url() : this.cfg.url;
+    const ws = new WS(url);
+    ws.binaryType = "arraybuffer";
+    this.ws = ws;
+    ws.onopen = async () => {
+      this.backoff.reset();
+      this.startPing();
+      this.emit("open");
+      try {
+        await this.cfg.onOpen?.({
+          send: (d) => ws.send(d),
+          close: () => this.close()
+        });
+      } catch (err) {
+        this.emit("error", toError(err, "onOpen handler failed"));
+      }
+    };
+    ws.onmessage = (e) => {
+      let result;
+      try {
+        result = this.cfg.onMessage(e.data);
+      } catch (err) {
+        this.emit("error", toError(err, "onMessage handler failed"));
+        return;
+      }
+      if (result && typeof result.catch === "function") {
+        result.catch(
+          (err) => this.emit("error", toError(err, "onMessage handler failed"))
+        );
+      }
+    };
+    ws.onerror = (e) => {
+      this.emit("error", normalizeWsError(e));
+    };
+    ws.onclose = (e) => {
+      this.stopPing();
+      const reason = describeClose(e);
+      this.emit("close", reason);
+      if (!this.closed) this.scheduleReconnect();
+    };
+  }
+  send(data) {
+    this.ws?.send(data);
+  }
+  close() {
+    this.closed = true;
+    this.stopPing();
+    try {
+      this.ws?.close();
+    } catch {
+    }
+  }
+  startPing() {
+    if (!this.cfg.pingIntervalMs || !this.cfg.pingPayload) return;
+    this.stopPing();
+    this.pingTimer = setInterval(() => {
+      try {
+        this.ws?.send(this.cfg.pingPayload());
+      } catch {
+      }
+    }, this.cfg.pingIntervalMs);
+  }
+  stopPing() {
+    if (this.pingTimer) {
+      clearInterval(this.pingTimer);
+      this.pingTimer = null;
+    }
+  }
+  scheduleReconnect() {
+    const next = this.backoff.next();
+    if (!next) {
+      this.emit("error", new Error("max reconnect attempts exceeded"));
+      return;
+    }
+    this.emit("reconnecting", next.attempt, next.wait);
+    setTimeout(() => {
+      this.connect().catch((e) => this.emit("error", toError(e, "reconnect failed")));
+    }, next.wait);
+  }
+};
+
+// src/exchanges/deribit/ws.ts
+var WS_PUBLIC = "wss://www.deribit.com/ws/api/v2";
+var HEARTBEAT_SECONDS = 30;
+function streamDeribitOrderbook(opts) {
+  const instrument = toDeribitSymbol(opts.symbol, opts.market);
+  const channel = `book.${instrument}.${opts.interval ?? "100ms"}`;
+  const merger = new BookMerger();
+  let ws = null;
+  let sock = null;
+  let recovering = false;
+  const stream = new OrderbookStream(() => ws?.close());
+  let nextId = 1;
+  const subscribeIds = /* @__PURE__ */ new Set();
+  const rpc = (method, params) => {
+    const id = nextId++;
+    sock?.send(JSON.stringify({ jsonrpc: "2.0", id, method, params }));
+    return id;
+  };
+  const subscribe = () => {
+    subscribeIds.add(rpc("public/subscribe", { channels: [channel] }));
+  };
+  const emit = (r) => {
+    const book = {
+      exchange: "deribit",
+      symbol: fromDeribitSymbol(instrument),
+      market: opts.market,
+      bids: r.bids,
+      asks: r.asks,
+      timestamp: r.timestamp,
+      sequence: r.sequence
+    };
+    stream.emit("update", book);
+  };
+  const resync = () => {
+    if (recovering) return;
+    recovering = true;
+    merger.reset();
+    rpc("public/unsubscribe", { channels: [channel] });
+    subscribe();
+  };
+  const toLevels = (entries) => entries.map(([action, price, amount]) => ({
+    price,
+    size: action === "delete" ? 0 : amount
+  }));
+  const buildEvent = (d) => {
+    const bids = toLevels(d.bids);
+    const asks = toLevels(d.asks);
+    if (d.type === "snapshot") {
+      return {
+        kind: "snapshot",
+        bids,
+        asks,
+        sequence: d.change_id,
+        timestamp: d.timestamp
+      };
+    }
+    return {
+      kind: "delta",
+      bids,
+      asks,
+      sequence: d.change_id,
+      prevSequence: d.prev_change_id,
+      timestamp: d.timestamp
+    };
+  };
+  const handleData = (d) => {
+    if (d.type === "snapshot") recovering = false;
+    else if (recovering) return;
+    const r = merger.apply(buildEvent(d));
+    if (r.ok) {
+      emit(r);
+    } else if (r.reason === "gap" || r.reason === "no-snapshot") {
+      resync();
+    }
+  };
+  const onMessage = (raw) => {
+    if (typeof raw !== "string") return;
+    let msg;
+    try {
+      msg = JSON.parse(raw);
+    } catch {
+      return;
+    }
+    if (msg.method === "heartbeat") {
+      if (msg.params?.type === "test_request") rpc("public/test", {});
+      return;
+    }
+    if (msg.method === "subscription") {
+      if (msg.params?.channel !== channel || !msg.params.data) return;
+      handleData(msg.params.data);
+      return;
+    }
+    if (msg.id !== void 0) {
+      if (msg.error) {
+        stream.emit(
+          "error",
+          new ExchangeError(
+            "deribit",
+            `${msg.error.code}: ${msg.error.message}`
+          )
+        );
+        return;
+      }
+      if (subscribeIds.delete(msg.id)) {
+        const channels = Array.isArray(msg.result) ? msg.result : [];
+        if (!channels.includes(channel)) {
+          stream.emit(
+            "error",
+            new ExchangeError(
+              "deribit",
+              `subscribe rejected for "${channel}" \u2014 unknown instrument or interval`
+            )
+          );
+        }
+      }
+    }
+  };
+  ws = new WSClient({
+    url: WS_PUBLIC,
+    onOpen: (handle) => {
+      sock = handle;
+      merger.reset();
+      recovering = false;
+      subscribeIds.clear();
+      rpc("public/set_heartbeat", { interval: HEARTBEAT_SECONDS });
+      subscribe();
+    },
+    onMessage
+  });
+  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;
+}
+
+// src/exchanges/deribit/index.ts
+var DeribitClient = class {
+  exchange = "deribit";
+  transformUrl;
+  timeoutMs;
+  constructor(opts = {}) {
+    this.transformUrl = opts.transformUrl;
+    this.timeoutMs = opts.timeoutMs;
+  }
+  fetchOrderbook(symbol, opts = {}) {
+    const { pair, market } = parseSymbol(symbol);
+    return fetchDeribitOrderbook({
+      symbol: pair,
+      market,
+      depth: opts.depth,
+      timeoutMs: this.timeoutMs,
+      transformUrl: this.transformUrl
+    });
+  }
+  streamOrderbook(symbol, opts = {}) {
+    const { pair, market } = parseSymbol(symbol);
+    return streamDeribitOrderbook({
+      symbol: pair,
+      market,
+      depth: opts.depth,
+      transformUrl: this.transformUrl,
+      timeoutMs: this.timeoutMs
+    });
+  }
+};
+
+exports.DeribitClient = DeribitClient;
+exports.fetchDeribitOrderbook = fetchDeribitOrderbook;
+exports.streamDeribitOrderbook = streamDeribitOrderbook;
+//# sourceMappingURL=index.cjs.map
+//# sourceMappingURL=index.cjs.map