@xapy/orderbook 0.1.3 → 0.1.4

package/dist/index.js

@@ -1231,29 +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",
@@ -1264,16 +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") {
@@ -1287,7 +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.
@@ -1299,6 +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 {