@xapy/orderbook 0.1.5 → 0.1.6

package/dist/index.js

@@ -1624,44 +1624,101 @@ function streamCoinexOrderbook(opts) {
   const merger = new BookMerger();
   let ws = null;
   const stream = new OrderbookStream(() => ws?.close());
-  const subscribePayload = JSON.stringify({
+  const subscribeDepth = JSON.stringify({
     method: "depth.subscribe",
     params: {
-      // [market, limit, interval, diff_flag] — diff_flag=false → full snapshots
+      // [market, limit, interval, diff_flag] — diff_flag=true → snapshots only
+      // (CoinEx flips the sense of the flag in V2; our handler treats every
+      // frame as a snapshot to stay correct under either reading).
       market_list: [[market, depth, "0", true]]
     },
     id: 1
   });
-  const handlePayload = (text) => {
-    let msg;
-    try {
-      msg = JSON.parse(text);
-    } catch {
-      return;
+  const subscribeBbo = JSON.stringify({
+    method: "bbo.subscribe",
+    params: { market_list: [market] },
+    id: 2
+  });
+  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 = overlayBid2(bids, lastTicker.bid);
+      asks = overlayAsk2(asks, lastTicker.ask);
+      if (lastTicker.ts > timestamp) {
+        timestamp = lastTicker.ts;
+        sequence = Math.max(sequence, lastTicker.ts);
+      }
     }
-    if (msg.id != null && !msg.method) return;
-    if (msg.method !== "depth.update" || !msg.data) return;
-    if (msg.data.market !== market) return;
-    const d = msg.data.depth;
-    const event = {
-      kind: "snapshot",
-      bids: d.bids.map(([p, s]) => ({ price: Number(p), size: Number(s) })),
-      asks: d.asks.map(([p, s]) => ({ price: Number(p), size: Number(s) })),
-      sequence: d.updated_at,
-      timestamp: d.updated_at
-    };
-    const r = merger.apply(event);
-    if (!r.ok) return;
     const book = {
       exchange: "coinex",
       symbol: fromCoinexSymbol(market),
       market: opts.market,
+      bids,
+      asks,
+      timestamp,
+      sequence
+    };
+    stream.emit("update", book);
+  };
+  const handleDepth = (d) => {
+    if (d.market !== market) return;
+    const inner = d.depth;
+    const r = merger.apply({
+      kind: "snapshot",
+      bids: inner.bids.map(([p, s]) => ({
+        price: Number(p),
+        size: Number(s)
+      })),
+      asks: inner.asks.map(([p, s]) => ({
+        price: Number(p),
+        size: Number(s)
+      })),
+      sequence: inner.updated_at,
+      timestamp: inner.updated_at
+    });
+    if (!r.ok) return;
+    lastMerged = {
       bids: r.bids,
       asks: r.asks,
       timestamp: r.timestamp,
       sequence: r.sequence
     };
-    stream.emit("update", book);
+    emitOverlayed();
+  };
+  const handleBbo = (b) => {
+    if (b.market !== market) return;
+    const bidPrice = Number(b.best_bid_price);
+    const askPrice = Number(b.best_ask_price);
+    const bidSize = Number(b.best_bid_size);
+    const askSize = Number(b.best_ask_size);
+    if (!Number.isFinite(bidPrice) || !Number.isFinite(askPrice)) return;
+    lastTicker = {
+      bid: { price: bidPrice, size: bidSize },
+      ask: { price: askPrice, size: askSize },
+      ts: b.updated_at
+    };
+    emitOverlayed();
+  };
+  const handlePayload = (text) => {
+    let msg;
+    try {
+      msg = JSON.parse(text);
+    } catch {
+      return;
+    }
+    if (msg.id != null && !msg.method) return;
+    if (!msg.data || !msg.method) return;
+    if (msg.method === "depth.update") {
+      handleDepth(msg.data);
+    } else if (msg.method === "bbo.update") {
+      handleBbo(msg.data);
+    }
   };
   const onMessage = async (raw) => {
     if (typeof raw === "string") {
@@ -1675,7 +1732,10 @@ function streamCoinexOrderbook(opts) {
     url: opts.market === "spot" ? WS_SPOT5 : WS_FUTURES2,
     onOpen: (sock) => {
       merger.reset();
-      sock.send(subscribePayload);
+      lastMerged = null;
+      lastTicker = null;
+      sock.send(subscribeDepth);
+      sock.send(subscribeBbo);
     },
     onMessage
     // Native WS ping/pong frames keep the connection alive — no app-level ping.
@@ -1687,6 +1747,32 @@ function streamCoinexOrderbook(opts) {
   ws.connect().catch((e) => stream.emit("error", e));
   return stream;
 }
+function overlayAsk2(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 overlayBid2(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/coinex/index.ts
 var CoinexClient = class {